I made mine out of the insulation board others are talking about. I duck taped Warm and Natural to it. I didn't attach mine to a wall, as it sits in front of my closet and sometimes I need to get into it. I also cut 2 feet off of the height so that it just leans against my closet. I am quite happy with it.
Let me see if I can find a picture. Okay, here is one. It makes it look skinnier than it is. It is 48 inches by 72 inches.
Dina